Testing for a unit root in the presence of moving average errors

DOI10.1093/biomet/76.1.49zbMath0678.62083OpenAlexW4230936166MaRDI QIDQ3834913

Alastair R. Hall

Publication date: 1989

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/76.1.49

zbMATH Keywords

time seriesrandom walkinstrumental variable estimatorlinear time trendshift in meantesting for unit rootsmoving average innovations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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